Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0027 |
| Annualized Std Dev | 0.3212 |
| Annualized Sharpe (Rf=0%) | -0.0085 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3283.0000 |
| NAs | 1.0000 |
| Minimum | -0.2198 |
| Quartile 1 | -0.0090 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0098 |
| Maximum | 0.2325 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0004 |
| Stdev | 0.0202 |
| Skewness | 0.1880 |
| Kurtosis | 15.5686 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0143 |
| Gain Deviation | 0.0150 |
| Loss Deviation | 0.0153 |
| Downside Deviation (MAR=210%) | 0.0188 |
| Downside Deviation (Rf=0%) | 0.0143 |
| Downside Deviation (0%) | 0.0143 |
| Maximum Drawdown | 0.6471 |
| Historical VaR (95%) | -0.0289 |
| Historical ES (95%) | -0.0473 |
| Modified VaR (95%) | -0.0256 |
| Modified ES (95%) | -0.0256 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-05 | 2008-11-20 | 2018-01-11 | -0.6471 | 2441 | 141 | 2300 |
| 2018-01-29 | 2020-03-23 | NA | -0.5659 | 792 | 541 | NA |
| 2008-03-12 | 2008-03-19 | 2008-04-18 | -0.1285 | 27 | 6 | 21 |
| 2008-03-06 | 2008-03-10 | 2008-03-11 | -0.0876 | 4 | 3 | 1 |
| 2018-01-16 | 2018-01-16 | 2018-01-17 | -0.0150 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | 3.1 | 1.5 | 1.4 | -2 | 3.3 | 0 | 0.6 | -0.2 | -7.6 | -1.4 | -1.6 |
| 2009 | 1.5 | -2.5 | 3.6 | 1.2 | 2.7 | 2 | 1.3 | -2.7 | -2 | -5.8 | 2.5 | -0.2 | 1.1 |
| 2010 | 2.3 | 1.5 | 1 | -1.7 | -2 | -0.1 | 0.5 | 3.2 | 3.3 | 0.6 | 4.1 | 1.2 | 14.6 |
| 2011 | 0.3 | 1.3 | 0.9 | 0.4 | -0.9 | -0.1 | -0.1 | -1.1 | -3.5 | -2.1 | -1.4 | -1.2 | -7.4 |
| 2012 | 2.3 | 0.7 | 2.8 | 0.5 | -1.3 | 6.5 | 0.6 | -0.4 | 1.4 | 2.2 | 0.9 | 0.9 | 18.5 |
| 2013 | 0.3 | -0.6 | -0.6 | -1.3 | -2.6 | 1 | 1.3 | 3.1 | 1.8 | 0.4 | 2 | 0.3 | 5.2 |
| 2014 | -0.5 | -0.7 | 1.4 | 0 | -0.7 | 1 | 0.1 | 0.5 | -1.7 | 1.6 | -0.8 | 0 | 0.2 |
| 2015 | -3.2 | 2.3 | 1.4 | 1.4 | -0.6 | 1.2 | 1.3 | -3.1 | -1.1 | -0.5 | 0.7 | 0.9 | 0.7 |
| 2016 | -1.1 | 4.4 | -0.7 | 0.1 | 0.1 | 1.3 | -0.8 | 0.3 | 2.3 | 0 | -0.9 | 0.1 | 5 |
| 2017 | 0.5 | 1.7 | 0.4 | 0 | 0.6 | 0.6 | 0.7 | 1.2 | 0.9 | 1.2 | -1.6 | 0.6 | 7 |
| 2018 | -1.7 | 0 | 1.2 | -0.3 | 0.7 | 2 | 0.1 | 0.5 | -0.4 | 3 | -0.2 | -0.1 | 5 |
| 2019 | -1.2 | -0.2 | 0.9 | 0 | 0.5 | 0.7 | -1.2 | 0.9 | -1.9 | 1.1 | -1.6 | 0.1 | -2 |
| 2020 | -1.1 | -2.8 | -5.8 | -3.4 | 2.6 | 1.8 | -0.7 | 2 | 1.3 | -0.6 | 2.8 | 0.1 | -3.9 |
| 2021 | 3.8 | 2.1 | 2.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-03-05 25.6 SPY 134. 0.0063 -0.0318 -0.029 -0.0938 -0.042 0.104 0.617 GLD 97.7 0.0267 0.031
2 2008-03-06 24.4 SPY 131. -0.0207 -0.0424 -0.0229 -0.104 -0.0609 0.0679 0.570 GLD 96.5 -0.0125 0.0053
3 2008-03-07 23.9 SPY 130. -0.0103 -0.0307 -0.0251 -0.128 -0.0784 0.0564 0.568 GLD 96.1 -0.0042 -0.0009
4 2008-03-10 23.3 SPY 128 -0.0132 -0.0412 -0.0443 -0.152 -0.0908 0.0464 0.536 GLD 95.9 -0.0023 -0.0141
5 2008-03-11 25.9 SPY 133. 0.0359 -0.00290 -0.0035 -0.121 -0.0595 0.0961 0.631 GLD 96.0 0.0013 0.0085
6 2008-03-12 24.8 SPY 131. -0.0094 -0.0185 -0.0179 -0.136 -0.0498 0.0835 0.631 GLD 97.0 0.0106 -0.0073
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
